Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2009

• Pesaran, M. Hashem & Timmermann, Allan, 2009, "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 325-337.
• Anatolyev, Stanislav, 2009, "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 149-160.
• Millimet, Daniel L. & Tchernis, Rusty, 2009, "On the Specification of Propensity Scores, With Applications to the Analysis of Trade Policies," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 3, pages 397-415.
• Karim Barhoumi & Olivier Darn & Laurent Ferrara, 2009, "Are disaggregate data useful for factor analysis in forecasting French GDP?," Working papers, Banque de France, number 232.
• Claire C l rier, 2009, "Forecasting inflation in France," Working papers, Banque de France, number 262.
• Christopher Martin & Costas Milas, 2009, "Uncertainty And Monetary Policy Rules In The United States," Economic Inquiry, Western Economic Association International, volume 47, issue 2, pages 206-215, April, DOI: 10.1111/j.1465-7295.2008.00160.x.
• R. Aaberge & U. Colombino & T. Wennemo, 2009, "Evaluating Alternative Representations Of The Choice Sets In Models Of Labor Supply," Journal of Economic Surveys, Wiley Blackwell, volume 23, issue 3, pages 586-612, July, DOI: 10.1111/j.1467-6419.2008.00573.x.
• Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009, "International Stock Return Comovements," Journal of Finance, American Finance Association, volume 64, issue 6, pages 2591-2626, December, DOI: 10.1111/j.1540-6261.2009.01512.x.
• Q. Farooq Akram & Ragnar Nymoen, 2009, "Model Selection for Monetary Policy Analysis: How Important is Empirical Validity?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 71, issue 1, pages 35-68, February, DOI: 10.1111/j.1468-0084.2008.00516.x.
• Thierry Warin & Phanindra V. Wunnava & Hubert P. Janicki, 2009, "Testing Mundell's Intuition of Endogenous OCA Theory," Review of International Economics, Wiley Blackwell, volume 17, issue 1, pages 74-86, February, DOI: 10.1111/j.1467-9396.2008.00802.x.
• Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009, "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper, Norges Bank, number 2009/19, Nov.
• Eyal Argov, 2009, "The Choice of a Foreign Price Measure in a Bayesian Estimated New-Keynesian Model for Israel," Bank of Israel Working Papers, Bank of Israel, number 2009.04, Jun.
• Eduardo F. L. de Melo & Beatriz Vaz de Melo Mendes, 2009, "Local Estimation of Copula Based Value-at-Risk," Brazilian Review of Finance, Brazilian Society of Finance, volume 7, issue 1, pages 29-50.
• Evarist Stoja & Arnold Polanski, 2009, "Dynamic Density Forecasts for Multivariate Asset Returns," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/616, Sep.
• Evarist Stoja & Arnold Polanski, 2009, "Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/617, Dec.
• Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2009, "Have Structural Changes Eliminated the Out-of-Sample Ability of Financial Variables To Forecast Real Activity After the Mid-1980s? Evidence From the Canadian Economy," Working Papers, Brock University, Department of Economics, number 0910, Dec, revised Oct 2010.
• Laurent Ferrara, 2009, "Caractérisation et datation des cycles économiques en zone euro," Revue économique, Presses de Sciences-Po, volume 60, issue 3, pages 703-712.
• A. Pedro Duarte Silva, 2009, "Exact and heuristic algorithms for variable selection: Extended Leaps and Bounds," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 01, Jan.
• Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2009, "How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 09/13, Oct.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "The 'Puzzles' methodology: en route to Indirect Inference?," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/22, Nov.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2009, "Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/3, Mar, revised Dec 2009.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "Some problems in the testing of DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/31, Dec.
• Li, GuangJie, 2009, "Consistent Estimation, Model Selection and Averaging of Dynamic Panel Data Models with Fixed Effect," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/5, Mar.
• Li, GuangJie & Leon-Gonzalez, Roberto, 2009, "A Correction Function Approach to Solve the Incidental Parameter Problem," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/6, Mar.
• Franz R. Hahn, 2009, "A note on management efficiency and international banking. Some empirical panel evidence," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 69-81, May.
• PierrePhilippe Combes & Gilles Duranton & Laurent Gobillon & Diego Puga & Sébastien Roux, 2009, "The Productivity Advantages of Large Cities: Distinguishing Agglomeration from Firm Selection," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0027, Oct.
• Jan Hanousek & Evzen Kocenda, 2009, "Intraday Price Discovery in Emerging European Stock Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp382, Feb.
• M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008, "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series, CESifo, number 2231.
• Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009, "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series, CESifo, number 2618.
• Jim Malley & Ulrich Woitek, 2009, "Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model," CESifo Working Paper Series, CESifo, number 2626.
• Jim Malley & Ulrich Woitek, 2009, "Productivity Shocks and Aggregate Cycles in an Estimated Endogenous Growth Model," CESifo Working Paper Series, CESifo, number 2672.
• Michael Funke & Marc Gronwald, 2009, "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," CESifo Working Paper Series, CESifo, number 2692.
• Sasa Zikovic & Randall Filer, 2009, "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series, CESifo, number 2820.
• M. Hashem Pesaran & Paolo Zaffaroni, 2009, "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series, CESifo, number 2857.
• Gerit Vogt, 2009, "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, September.
• Michael Reinhard & Hans Schedl & Achim Buchwald & Ralph Henger, 2007, "Positionierung der deutschen Industrie im globalen Konsolidierungsprozess : im Auftrag des Bundesministeriums für Wirtschaft und Technologie," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, February.
• Esmeralda de Jesus Ratinho Lopes Arranhado Ramalho, 2009, "Covariate Measurement Error: Bias Reduction under Response-based Sampling," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2009_15.
• Andrés Eduardo Rangel Jiménez, 2009, "¿Histéresis en la tasa de desempleo de Bogotá? Consideraciones sobre el uso de los test ADF y Zivot-Andrews," Revista de Economía y Administración, Universidad Autónoma de Occidente.
• Milena Hoyos & Johanna Ramos & Lorena Vivas, 2009, "Un modelo SETAR para el PIB Colombiano," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 6160, May.
• LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009, "Consistent ranking of multivariate volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009002, Jan.
• SBRANA, Giacomo & SILVESTRINI, Andrea, 2009, "What do we know about comparing aggregate and disaggregate forecasts?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009020, Mar.
• Favero, Carlo A. & Consolo, Agostino & Paccagnini, Alessia, 2009, "On the Statistical Identification of DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7176, Feb.
• Muellbauer, John & Aron, Janine, 2009, "Some Issues in Modeling and Forecasting Inflation in South Africa," CEPR Discussion Papers, Centre for Economic Policy Research, number 7183, Feb.
• Duranton, Gilles & Combes, Pierre-Philippe & Puga, Diego & Gobillon, Laurent & Roux, Sébastien, 2009, "The productivity advantages of large cities: Distinguishing agglomeration from firm selection," CEPR Discussion Papers, Centre for Economic Policy Research, number 7191, Mar.
• Canova, Fabio & Sala, Luca, 2009, "Back to square one: identification issues in DSGE models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7234, Mar.
• Taylor, John & Wieland, Volker & Cwik, Tobias & Cogan, John F., 2009, "New Keynesian versus old Keynesian government spending multipliers," CEPR Discussion Papers, Centre for Economic Policy Research, number 7236, Mar.
• Kilian, Lutz & Kim, Yun Jung, 2009, "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7266, Apr.
• Taylor, John & Wieland, Volker, 2009, "Surprising comparative properties of monetary models: Results from a new data base," CEPR Discussion Papers, Centre for Economic Policy Research, number 7294, May.
• Attanasio, Orazio & Mesnard, Alice & Battistin, Erich, 2009, "Food and Cash Transfers: Evidence from Colombia," CEPR Discussion Papers, Centre for Economic Policy Research, number 7326, Jun.
• Ferrara, Laurent & Darné, Olivier, 2009, "Identification of slowdowns and accelerations for the euro area economy," CEPR Discussion Papers, Centre for Economic Policy Research, number 7376, Jul.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2009, "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7385, Jul.
• Fafchamps, Marcel & Comola, Margherita, 2009, "Testing Unilateral and Bilateral Link Formation," CEPR Discussion Papers, Centre for Economic Policy Research, number 7406, Aug.
• Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2009, "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7447, Sep.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7537, Nov.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "The 'Puzzles' Methodology: en route to Indirect Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7539, Nov.
• Wieland, Volker, 2009, "Fiscal stimulus and the promise of future spending cuts," CEPR Discussion Papers, Centre for Economic Policy Research, number 7615, Dec.
• Pierre-Philippe COMBES & Gilles DURANTON & Laurent GOBILLON & Diego PUGA & Sébastien ROUX, 2009, "The Productivity Advantages of Large Cities : Distinguishing Agglomeration from Firm Selection," Working Papers, Center for Research in Economics and Statistics, number 2009-08.
• Janine Aron & John Muellbauer, 2009, "Some Issues in Modeling and Forecasting Inflation in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2009-01.
• Margherita Comola & Marcel Fafchamps, 2009, "Testing Unilateral and Bilateral Link Formation," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2009-13.
• Julie Litchfield & Barry Reilly & Mario Veneziani, 2009, "How Happy are the Albanians: an Empirical ANALYSIS OF LIFE SATISFACTION," DISCE - Quaderni del Dipartimento di Scienze Economiche e Sociali, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number dises1065, Nov.
• Sucarrat, Genaro & Escribano, Álvaro, 2009, "Automated financial multi-path GETS modelling," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we093620, Jul.
• Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel, 2009, "Evaluating Value-at-Risk models via Quantile Regression," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094625, May.
• Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2009, "An improved bootstrap test of stochastic dominance," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094827, Jul.
• Vincent BODART & Philippe LEDENT & Fatemeh SHADMAN-METHA, 2009, "An Employment Equation for Belgium," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2009016, Jun.
• Galvao Jr, A. F. & Montes-Rojas, G., 2009, "Instrumental variables quantile regression for panel data with measurement errors," Working Papers, Department of Economics, City St George's, University of London, number 09/06.
• Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009, "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1713, Jul.
• Vadim Marmer & Taisuke Otsu, 2009, "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1724, Aug, revised Jul 2011.
• Alfredo M. Pereira & Jorge M. Andraz, 2009, "Social Security And Economic Performance In Portugal: After All That Has Been Said And Done How Much Has Actually Changed?," Working Papers, Economics Department, William & Mary, number 81, Jan.
• Patricia Prüfer & Gabriele Tondl, 2009, "The FDI-Growth Nexus in Latin America: The Role of Source Countries and Local Conditions," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c014_025, Jun.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.4A.
• Christian Dreger & Jürgen Wolters, 2009, "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 78, issue 1, pages 56-65, DOI: 10.3790/vjh.78.1.56.
• Konstantin A. Kholodilin & Stefan Kooths, 2009, "Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 76, issue 21, pages 348-354.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 860.
• Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009, "Rating Assignments: Lessons from International Banks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 868.
• Tatevik Sekhposyan & Barbara Rossi, 2009, "Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?," Working Papers, Duke University, Department of Economics, number 09-06.
• Alastair Hall & Atsushi & James M Nason & Barbara Rossi, 2009, "Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models," Working Papers, Duke University, Department of Economics, number 09-09.
• Raffaella Giacomini & Barbara Rossi, 2009, "Model Comparisons in Unstable Environments," Working Papers, Duke University, Department of Economics, number 09-10.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers, Duke University, Department of Economics, number 10-73.
• Gomez Zaldivar, M. & Ventosa-Santaularia, D., 2009, "Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009, "Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_005.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009, "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_023.
• Alexandre Petkovic & David Veredas, 2009, "Aggregation of linear models for panel data," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009-012, Mar.
• Cogan, John F. & Cwik, Tobias & Taylor, John B. & Wieland, Volker, 2009, "New Keynesian versus old Keynesian government spending multipliers," Working Paper Series, European Central Bank, number 1090, Sep.
• Ciccarelli, Matteo & Garcí­a, Juan Angel, 2009, "What drives euro area break-even inflation rates?," Working Paper Series, European Central Bank, number 996, Jan.
• Andrabi, Tahir & Das, Jishnu & Khwaja, Asim Ijaz & Zajonc, Tristan, 2009, "Do Value-Added Estimates Add Value? Accounting for Learning Dynamics," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp09-034, Oct.
• Chabi-Yo, Fousseni, 2009, "Expected Returns and Volatility of Fama-French Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-17, Sep.
• David Ardia, 2009, "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 105-126, March.
• Tomoaki Nakatani & Timo Terasvirta, 2009, "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 147-163, March.
• D. S. Poskitt & C. L. Skeels, 2009, "Assessing the magnitude of the concentration parameter in a simultaneous equations model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 26-44, March.
• James J. Heckman & Petra E. Todd, 2009, "A note on adapting propensity score matching and selection models to choice based samples," Econometrics Journal, Royal Economic Society, volume 12, issue s1, pages 230-234, January.
• Malley, Jim University of Glasgow & Woitek, Ulrich, 2009, "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-18.
• Jochmann, Markus & Koop, Gary & Leon-Gonzalez & Strachan, Rodney W., 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-44.
• Kascha, Christian & Mertens, Karel, 2009, "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 2, pages 267-282, February.
• Stan Hurn & Ralf Becker, 2009, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy, Elsevier, volume 39, issue 2, pages 311-326, September.
• Matheron, Julien & Poilly, Céline, 2009, "How well does a small structural model with sticky prices and wages fit postwar U.S. data?," Economic Modelling, Elsevier, volume 26, issue 1, pages 266-284, January.
• Anatolyev, Stanislav, 2009, "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, volume 26, issue 1, pages 82-89, January.
• Kolasa, Marcin, 2009, "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," Economic Modelling, Elsevier, volume 26, issue 6, pages 1245-1269, November.
• Lamla, Michael J., 2009, "Long-run determinants of pollution: A robustness analysis," Ecological Economics, Elsevier, volume 69, issue 1, pages 135-144, November.
• Li, Tong, 2009, "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 114-123, February.
• Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009, "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, volume 150, issue 1, pages 99-115, May.
• Mencía, Javier & Sentana, Enrique, 2009, "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, volume 153, issue 2, pages 105-121, December.
• Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009, "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, volume 16, issue 2, pages 280-305, March.
• Ren, Yu & Shimotsu, Katsumi, 2009, "Improvement in finite sample properties of the Hansen-Jagannathan distance test," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 483-506, June.
• Bhaskara Rao, B. & Rao, Gyaneshwar, 2009, "Structural breaks and energy efficiency in Fiji," Energy Policy, Elsevier, volume 37, issue 10, pages 3959-3966, October.
• Alagidede, Paul & Panagiotidis, Theodore, 2009, "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, volume 18, issue 1-2, pages 1-11, March.
• Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009, "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, volume 5, issue 2, pages 199-219, June.
• Sheremet, Oleg & Lucas, André, 2009, "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 3, pages 415-425, June.
• Brissimis, Sophocles N. & Delis, Manthos D., 2009, "Identification of a loan supply function: A cross-country test for the existence of a bank lending channel," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 2, pages 321-335, April.
• Dahl, Christian M. & Hansen, Henrik & Smidt, John, 2009, "The cyclical component factor model," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 119-127.
• Ager, P. & Kappler, M. & Osterloh, S., 2009, "The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 167-181.
• Castle, Jennifer L. & Hendry, David F., 2009, "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, volume 31, issue 1, pages 5-28, March.
• Li, Ming-Yuan Leon, 2009, "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 10, pages 3076-3088, DOI: 10.1016/j.matcom.2009.02.013.
• Canova, Fabio & Sala, Luca, 2009, "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, volume 56, issue 4, pages 431-449, May.
• Mur, Jesús & Angulo, Ana, 2009, "Model selection strategies in a spatial setting: Some additional results," Regional Science and Urban Economics, Elsevier, volume 39, issue 2, pages 200-213, March.
• Daniel Buncic, 2009, "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_18, 08.
• Tommaso Proietti, 2009, "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_24, 09.

2008

• Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008, "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-03, Jan.
• Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-05, Jan.
• Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Multivariate GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-06, Jan.
• Christina Amado & Timo Teräsvirta, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-08, Jan.
• Christian M. Dahl & Emma M. Iglesias, 2008, "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-38, Jul.
• Christian M. Dahl & Henrik Hansen & John Smidt, 2008, "The cyclical component factor model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-44, Sep.
• Tim Bollerslev & Tzuo Hao & George Tauchen, 2008, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-48, Sep.
• Christian M. Hafner & Helmut Herwartz, 2008, "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
• Steffen Osterloh, 2008, "Accuracy and Properties of German Business Cycle Forecasts," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 54, issue 1, pages 27-57.
• Colombo, Sergio & Hanley, Nick, 2008, "Análisis econométrico de la heterogeneidad de las preferencias de los individuos: aplicación a la valoración económica de la conservación del paisaje agrícola de montaña," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 8, issue 01, pages 1-21, DOI: 10.22004/ag.econ.37191.
• Kaltsas, Ioannis K. & Bosch, Darrell J. & McGuirk, Anya M., 2008, "Residential Land Values in Urbanizing Areas," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 40, issue 2, pages 1-13, August, DOI: 10.22004/ag.econ.47204.
• Power, Gabriel J. & Turvey, Calum G., 2008, "On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 37608, DOI: 10.22004/ag.econ.37608.
• Cooray, Arusha, 2008, "A Model of Inflation for Sri Lanka," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 4, issue 01-2, pages 1-10, DOI: 10.22004/ag.econ.50017.
• Clements, Michael P. & Beatriz Galvao, Ana, undated, "First Announcements and Real Economic Activity," Economic Research Papers, University of Warwick - Department of Economics, number 271314, DOI: 10.22004/ag.econ.271314.
• Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-03.
• Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-10.
• Richard Blundell & Monica Costa Dias, 2008, "Alternative approaches to evaluation in empirical microeconomics," CeMMAP working papers, Institute for Fiscal Studies, number 26/08, Oct, DOI: 10.1920/wp.cem.2008.2608.
• Vassil Tsanov, 2008, "Macroeconomic Dependencies of the Labor Market: Bulgaria and the European Union," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-32.
• Anita Staneva, 2008, "Analysis of the Labour Market in Bulgaria through a Error Correction Model," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 90-106.
• Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008, "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers, Bank of Canada, number 08-16, DOI: 10.34989/swp-2008-16.
• Donald Coletti & René Lalonde & Dirk Muir, 2008, "Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations," Staff Working Papers, Bank of Canada, number 08-6, DOI: 10.34989/swp-2008-6.
• Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008, "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series, Central Bank of Brazil, Research Department, number 161, Feb.
• Carmen Broto & Esther Ruiz, 2008, "Testing for conditional heteroscedasticity in the components of inflation," Working Papers, Banco de España, number 0812, Jun.
• Valérie Chauvin & Antoine Devulder, 2008, "An Inflation Forecasting Model for the Euro Area," Working papers, Banque de France, number 192.
• Vassillis Hajivassiliou & Frédérique Savignac, 2008, "Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects," Working papers, Banque de France, number 202.
• Renaud Lacroix, 2008, "Assessing the shape of the distribution of interest rates: lessons from French individual data," Working papers, Banque de France, number 206.
• Karim Barhoumi & V ronique Brunhes-Lesage & Olivier Darn & Laurent Ferrara & Bertrand Pluyaud & Rouvreau, B., 2008, "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers, Banque de France, number 222.
• Olivier Darn & Laurent Ferrara, 2009, "Identification of slowdowns and accelerations for the euro area economy," Working papers, Banque de France, number 239.
• BARHOUMI, K. & BRUNHES-LESAGE, V. & DARNÉ, O. & Laurent Ferrara & PLUYAUD, B. & ROUVREAU, B., 2008, "OPTIM : un outil de prévision trimestrielle du PIB de la France," Bulletin de la Banque de France, Banque de France, issue 171, pages 31-42.
• Barhoumi, K. & Brunhes-Lesage, V. & Ferrara, L. & Pluyaud, B. & Rouvreau, B. & Darné, O., 2008, "OPTIM: a quarterly forecasting tool for French GDP," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 31-47, Autumn.
• Luca Fanelli, 2008, "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 53-66, February, DOI: 10.1111/j.1468-0084.2007.00490.x.
• Michael G. Arghyrou & Georgios Chortareas, 2008, "Current Account Imbalances and Real Exchange Rates in the Euro Area," Review of International Economics, Wiley Blackwell, volume 16, issue 4, pages 747-764, September, DOI: 10.1111/j.1467-9396.2008.00773.x.
• Fabio Milani, 2008, "Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach," Scottish Journal of Political Economy, Scottish Economic Society, volume 55, issue 1, pages 1-30, February, DOI: 10.1111/j.1467-9485.2008.00446.x.
• Ida Wolden Bache, 2008, "Assessing estimates of the exchange rate pass-through," Working Paper, Norges Bank, number 2007/12, Jan.
• Ida Wolden Bache & Bjørn E. Naug, 2008, "Estimating New Keynesian import price models," Working Paper, Norges Bank, number 2007/15, Jan.
• Christian Kascha & Karel Mertens, 2008, "Business cycle analysis and VARMA models," Working Paper, Norges Bank, number 2008/05, Apr.
• Manos Matsaganis & Theodore Mitrakos & Panos Tsakloglou, 2008, "Modelling Household Expenditure on Health Care in Greece," Working Papers, Bank of Greece, number 68, Mar.
• Rafael Machado Santana & Rodrigo De Losso da Silveira Bueno, 2008, "SWARCH and the implicit volatility of the Real/USD exchange rate," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 235-265.
• Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2008, "The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach," Working Papers, Brock University, Department of Economics, number 0803, Apr.
• Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008, "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0808, Jan.
• Pesaran, M.H. & Zaffaroni, P., 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0813, Mar.
• Carlos Santos, 2008, "Selection on the basis of prior testing," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 062008, Sep.
• Andersson, Magnus & D'Agostino, Antonello, 2008, "Are sectoral stock prices useful for predicting euro area GDP?," Research Technical Papers, Central Bank of Ireland, number 2/RT/08, Apr.
• Oscar Jorda & Massimiliano Marcellino, 2008, "Path Forecast Evaluation," Working Papers, University of California, Davis, Department of Economics, number 131, Jul.
• Arghyrou, Michael G & Gadea, Maria Dolores, 2008, "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/23, Oct.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2008, "How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/32, Dec, revised Jul 2011.
• Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008, "Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 527, Feb.
• Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008, "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp349, Mar.
• M. Hashem Pesaran & Allan Timmermann, 2004, "Real Time Econometrics," CESifo Working Paper Series, CESifo, number 1169.
• Thomas A. Knetsch, 2004, "Evaluating the German Inventory Cycle – Using Data from the Ifo Business Survey," CESifo Working Paper Series, CESifo, number 1202.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series, CESifo, number 1358.
• Sebastian Buhai & Coenraad N. Teulings, 2006, "Tenure Profiles and Efficient Separation in a Stochastic Productivity Model," CESifo Working Paper Series, CESifo, number 1688.
• M. Hashem Pesaran & Allan Timmermann, 2006, "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series, CESifo, number 1770.
• M. Hashem Pesaran & Paolo Zaffaroni, 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series, CESifo, number 2326.
• Jan Grossarth-Maticek & Johannes Mayr, 2008, "Medienberichte als Konjunkturindikator," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 61, issue 07, pages 17-29, April.
• Nikolay Robinzonov & Klaus Wohlrabe, 2008, "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 57.
• Tahir Andrabi & Jishnu Das & Asim Ijaz Khwaja & Tristan Zajonc, 2008, "Do Value-Added Estimates Add Value? Accounting for Learning Dynamics," CID Working Papers, Center for International Development at Harvard University, number 158, Mar.
• Javier Mencía & Enrique Sentana, 2008, "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers, CEMFI, number wp2008_0804, Apr.
• Javier Mencía & Enrique Sentana, 2008, "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers, CEMFI, number wp2008_0805, Apr.
• Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz, 2008, "Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators," Economics Program Working Papers, The Conference Board, Economics Program, number 08-04, Nov.
• Elkin Castano & Karoll Gómez & Santiago Gallón, 2008, "Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Oscar Becerra & Luis Fernando Melo, 2008, "Medidas De Riesgo Financiero Usando C�Pulas: Teor�A Y Aplicaciones," Borradores de Economia, Banco de la Republica, number 4523, Feb.
• Dairo Estrada & Javier Guti�rrez Rueda, 2008, "Supervisi�N Y Regulaci�N Del Sistema Financiero:Modelos Implicaciones Y Alcances," Borradores de Economia, Banco de la Republica, number 4543, Feb.
• Andr�s Gonz�lez & Hern�n Rinc�m & Norberto Rodr�guez, 2008, "La transmisi�n de los choques a la tasa de cambio sobre la inflaci�n," Borradores de Economia, Banco de la Republica, number 5089, Oct.
• Rubén Darío Sepúlveda Vargas, 2008, "Valoración económica del uso recreativo del Parque Ronda del Sinú, en Montería, Colombia," Revista Semestre Económico, Universidad de Medellín.
• Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans, 2008, "Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts," CPB Document, CPB Netherlands Bureau for Economic Policy Analysis, number 172, Oct.